BUSINESS INFORM №7-2013

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Section: Economic and Mathematical Modeling
UDC 336.76:519.25
Dubnitskiy V. Y., Khodyrev A.
Comparative Analysis of Correspondence of Hypotheses on Statistical Properties of Stock Market Indicators with Real Observations (p. 97 - 104)
The article provides results of comparative primary analysis of basis and chain indices of growth, which characterise dynamics of the stock market. It identifies auto-correlation functions of these indicators in order to determine the depth of the market memory. It calculates the Hurst exponent for indicators of the dynamics of the stock market. It computes the ratio of canonical correlation between the financial and real component of the financial market. Using the Foster-Stewart criterion it establishes absence of a trend in the dynamics of indicators, with the exception of the GOLD indicator, which has an exponential trend. Bachelier hypothesis with respect to availability of logarithmically normal distribution of relation of two consecutive values of dynamics indicators did not find experimental confirmation. This complicates a possibility of use of the Wiener process for forecasting indicators of the stock market for a long period of time.
Keywords: stock market, Hurst exponent, auto-correlation function, Foster-Stewart criterion, Bachelier hypothesis, Wiener process, logarithmically normal distribution
Fig.: 6. Tabl.: 7. Formulae: 15. Bibl.: 11.

Dubnitskiy Valeriy Yu. – Candidate of Sciences (Engineering), Senior Research Fellow, Kharkiv Educational and Scientific Institute of SHEI «Banking University» (55 Peremohy Ave., Kharkіv, 61174, Ukraine)
Email: [email protected]
Khodyrev A. – Senior Lecturer, Department of Information Technologies, Kharkiv Educational and Scientific Institute of SHEI «Banking University» (55 Peremohy Ave., Kharkіv, 61174, Ukraine)
Email: [email protected]

Article is written in Ukrainian
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Reference to this article:
Dubnitskiy, Valeriy Yu., and Khodyrev, A. (2013) “Comparative Analysis of Correspondence of Hypotheses on Statistical Properties of Stock Market Indicators with Real Observations.” Business Inform 7:97–104.

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